Distributionally Favorable Optimization: A Framework for Data-Driven Decision-Making with Endogenous Outliers
From MaRDI portal
Publication:6188509
DOI10.1137/22m1528094MaRDI QIDQ6188509
Publication date: 7 February 2024
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Ridge regression; shrinkage estimators (Lasso) (62J07) Mixed integer programming (90C11) Stochastic programming (90C15)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Decomposition algorithms for two-stage chance-constrained programs
- A branch-and-cut decomposition algorithm for solving chance-constrained mathematical programs with finite support
- Data-driven inverse optimization with imperfect information
- The collected works of Wassily Hoeffding. Ed. by N. I. Fisher and P. K. Sen
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Data-driven distributionally robust chance-constrained optimization with Wasserstein metric
- Distributionally robust bottleneck combinatorial problems: uncertainty quantification and robust decision making
- Distributionally robust chance-constrained programs with right-hand side uncertainty under Wasserstein ambiguity
- On sample average approximation for two-stage stochastic programs without relatively complete recourse
- Frameworks and results in distributionally robust optimization
- On distributionally robust chance constrained programs with Wasserstein distance
- A distributionally robust perspective on uncertainty quantification and chance constrained programming
- A survey of outlier detection methodologies
- Feasibility and infeasibility in optimization. Algorithms and computational methods.
- Tractable reformulations of two-stage distributionally robust linear programs over the type-\(\infty\) Wasserstein ball
- Chance-constrained set covering with Wasserstein ambiguity
- Lectures on Modern Convex Optimization
- Portfolio Selection with Robust Estimation
- Robustness and sensitivity analysis of risk measurement procedures
- A Sample Approximation Approach for Optimization with Probabilistic Constraints
- On the interchange of subdifferentiation and conditional expectation for convex functionals
- The Influence Curve and Its Role in Robust Estimation
- Winsorized Regression
- Stochastic Convex Programming: Relatively Complete Recourse and Induced Feasibility
- Non-asymptotic confidence bounds for the optimal value of a stochastic program
- Ambiguous Joint Chance Constraints Under Mean and Dispersion Information
- High-Dimensional Statistics
- Robust Statistics
- On a Class of Minimax Stochastic Programs
- Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk
- AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
- Finite-time analysis of the multiarmed bandit problem
- On approximations of data-driven chance constrained programs over Wasserstein balls
This page was built for publication: Distributionally Favorable Optimization: A Framework for Data-Driven Decision-Making with Endogenous Outliers